Sueveges: Sueveges's Estimator of the Extremal Index

In thaos/dtheta: What the Package Does (One Line, Title Case)

Description

estimates the extremal index with the Sueveges's Estimator

Usage

Sueveges(X, rho)

Arguments

X	a vector of numerical value.
rho	the empirical quantile level used to define the time series of excessess over threshold.

Value

return the estimate of the extremal index

References

Mária Süveges (2007). Likelihood estimation of the extremal index. Extremes. 10:41–55 DOI 10.1007/s10687-007-0034-2

Examples

n <- 1000
q <- 0.99
ar1 <- 0.5
X <- arima.sim(list(order=c(1,0,0), ar=ar1), n=n)*sqrt(1-ar1^2)
Sueveges(X, q)

thaos/dtheta documentation built on Jan. 7, 2021, 6:26 p.m.